How to save an .exr file with 32 bit with python
You can change the color depth like this:

image_settings = bpy.context.scene.render.image_settings
image_settings.file_format = "OPEN_EXR"
image_setting.color_depth = '32'


Note that '32' is a string and not an integer/float.
Then save the image like this:

img = bpy.data.images['myImage'] # your image here
img.save_render("C:\\Users\\daddy\\me\\Documents\\myImage.exr") # save to desination